Sökning: "variance ratio test"

Visar resultat 21 - 25 av 34 uppsatser innehållade orden variance ratio test.

  1. 21. The impact of FDI on market efficiency : A study about adaptive market efficiency in African frontier markets

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Erik Ylander; Robin Palmgren; [2015]
    Nyckelord :Adaptive Market Hypothesis; Efficient Market Hypothesis; Behavioral Finance; Foreign Direct Investment; Frontier Market;

    Sammanfattning : This paper examines the impact of Foreign Direct Investment (FDI) on the level of market efficiency over time in six African frontier stock markets. The countries examined are Botswana, Kenya, Mauritius, Morocco, Nigeria and Tunisia. LÄS MER

  3. 22. Objective evaluation of vehicle handling during winter conditions

    Master-uppsats, KTH/Fordonsdynamik

    Författare :Mohit Hemant Asher; Alexander Lönnergård; [2015]
    Nyckelord :;

    Sammanfattning : Vehicle handling evaluation is a crucial part of the vehicle development process. The evaluation can be done in two ways, subjectively; by expert test drivers or objectively; by performing repeatable standard manoeuvres usually by steering robots. Subjective testing is resource intensive as prototypes need to be built. LÄS MER

  4. 23. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Asmir Prepic; Måns Unosson; [2014]
    Nyckelord :;

    Sammanfattning : We use GARCH(1,1), EGARCH and MIDAS regression to forecast weekly and monthly conditional variance of the OMXS30 equity index and USD/SEK exchange rate. Forecasts are compared with realized volatility and accuracy is evaluated using a Quasi-likelihood loss function and Diebold Mariano test. LÄS MER

  5. 24. En slumpmässig vandring eller genomsnittlig återgång : Råder förutsägbarhet på Stockholmsbörsen?

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Markus Alerius; Daniel Järlefelt; [2014]
    Nyckelord :mean reversion random walk Stockholmsbörsen;

    Sammanfattning : This study has been conducted in order to determine the existence of predictability for the Stockholm stock exchange. With this purpose the random walk theory has been raised against the theory of mean reversion in order to determine which theory is the most substantial. LÄS MER

  7. 25. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap

    Kandidat-uppsats, Akademin för utbildning, kultur och kommunikation

    Författare :Robin Jonsson; Jessica Radeschnig; [2014]
    Nyckelord :Finance; Momentum Investments; Portfolio Theory; Portfolio Optimization; Naive Diversification; Asset Allocation; Mean-Variance Efficiency; Sharpe-Ratio Hypothesis Test;

    Sammanfattning : This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. LÄS MER